Right off the bat, the Dead Space series is pretty good. Crazy as it sounds, Dead Space: Extraction (a wii game that no one talks about, although it is also on the PS3) is probably my favorite in the series.
You can’t go wrong with the Silent Hill series, and another possibly unpopular opinion is that Silent Hill 4 : The Room is probably my favorite. >
Now a real oddball pick. Is it the best game? No. Does it have an amazing story? No. But Obscure and Obscure 2 were a lot of fun of you’re cool with “this is like a really low budget campy horror flick” kind of games. Played them with a buddy a few years ago and it was the most fun co-op experience I’ve had in ages.